摘要

This paper employs quotation and trading data to measure high frequency liquidity of stock market: effective spread and price impact. This paper investigates the intraday and intraweek features of high frequency liquidity in Shanghai Stock Market by utilizing the fixed effects regression with panel data to exclude the special influence of individual stocks. The research indicates that in Shanghai Stock Market, the intraday and intraweek changing features all show themselves as the shape of "L", and the extent to which intraday pattern changes is greater than that of intraweek. This changing pattern can be explained by the spread theory in order-driven market which is composed of two terms: to compensate the no-execution risk of limited orders and to compensate the risk of adverse selection with limits orders. We also find that the changing pattern of price impact is low on Monday, and steadily increases from Monday through Friday. This intraweek changing pattern of price impact apparently differs from that of effective spread.